Sanjay K. Nawalkha - Isenberg School of Management - University ...

Sanjay K. Nawalkha
14 Pine Hollow Tel.: 413.687.2561
Amherst, MA 01002 Fax: 413.545.3858
USA
e-mail: nawalkha@isenberg.umass.edu
EDUCATION
Ph.D., Finance. September 1990. UNIVERSITY OF MASSACHUSETTS, Amherst,
Massachusetts. Dissertation Topic, “Innovations in Interest Rate Risk Management: New
Models and Strategies.”
M.B.A., Finance. May 1987. UNIVERSITY OF MASSACHUSETTS, Amherst,
Massachusetts.
B.Sc., Mathematics. October 1984. ST. XAVIER’S COLLEGE, UNIVERSITY OF
MUMBAI, MUMBAI, India.
ACADEMIC EXPERIENCE
09/11 to present Finance Area Head, Isenberg School of Management,
UNIVERSITY OF MASSACHUSETTS, Amherst.
09/10 to present Professor of Finance, Isenberg School of Management,
UNIVERSITY OF MASSACHUSETTS, Amherst.
09/01 to 08/09 Associate Professor of Finance, Isenberg School of Management,
UNIVERSITY OF MASSACHUSETTS, Amherst.
Sept. 98 to May 01
Sept. 97 to May 98
Sept. 96 to May 97
Sept. 90 to May 96
Associate Professor of Finance (Untenured), Isenberg School of
Management, UNIVERSITY OF MASSACHUSETTS, Amherst.
Visiting Associate Professor of Finance, INDIANA
UNIVERSITY, Bloomington.
Associate Professor of Finance (tenured), UNIVERSITY OF
BALTIMORE, Baltimore.
Assistant Professor of Finance, UNIVERSITY OF BALTIMORE,
Baltimore.
RESEARCH AND PUBLICATIONS
BOOKS AND MONOGRAPHS
1. Nawalkha, Sanjay K., Natalia A. Beliaeva, and Gloria M. Soto, 2012, “Credit Risk and
Return Modeling: The Fixed Income Valuation Course,” Wiley Finance, John Wiley and
Sons. Work in progress (240 pages completed), forthcoming.

Sanjay K. Nawalkha
2. Nawalkha, Sanjay K., Natalia A. Beliaeva, and Gloria M. Soto, 2007, “Dynamic Term
Structure Modeling: The Fixed Income Valuation Course,” Wiley Finance, John Wiley
and Sons, 683 pages.
3. Nawalkha, Sanjay K., Gloria M. Soto, and Natalia A. Beliaeva, 2005, “Interest Rate Risk
Modeling: The Fixed Income Valuation Course,” Wiley Finance, John Wiley and Sons,
496 pages.
4. Nawalkha, Sanjay K. and Donald R. Chambers (Editors), 1999, “Interest Rate Risk
Measurement and Management,” Institutional Investor, New York, 568 pages.
5. Lacey, Nelson J. and Sanjay K. Nawalkha, 1990, “Closed Form Duration Measures and
Strategy Applications,” The Research Foundation of the Institute of Chartered Financial
Analysts, Charlottesville, Virginia. This research project was funded by the Research
Foundation of the Institute of Chartered Financial Analysts.
An abstract of this Monograph prepared by Robert L. Whalen appeared in the CFA
Digest, 1990, (Fall), 12-14.
REFEREED JOURNAL ARTICLES (ORGANIZED BY JOURNALS IN DIFFERENT
SPECIALTY AREAS)
Financial Economics
Journal of Financial Economics
1. Nawalkha, Sanjay K., 1997, “A Multibeta Representation Theorem for Linear Asset
Pricing Theories,” Journal of Financial Economics, Vol. 46, No. 3, 357-381.
Banking and Finance
Journal of Banking and Finance
2. Beliaeva, N., S. Nawalkha, S. (2012). Pricing American Interest Rate Options Under
the Jump Extended Constant-Elasticity-of-Variance Short Rate Models. Journal of
Banking and Finance, Vol. 36, No.1, 151-163.
3. Nawalkha, Sanjay K., Jun Zhang, and Gloria M. Soto, 2003, “Generalized M-Vector
Models for Hedging Interest Rate Risk,” Journal of Banking and Finance, Vol. 27,
No.8, 1581-1604.
4. Nawalkha, Sanjay K., 1996, “A Contingent Claims Analysis of the Interest Rate Risk
Characteristics of Corporate Liabilities,” Journal of Banking and Finance, Vol. 20, No.
2, 227-245.
5. Nawalkha, Sanjay K., 1995, “The Duration Vector: A Continuous-Time Extension to
Default-Free Interest Rate Contingent Claims,” Journal of Banking and Finance, Vol.
19, No. 8, 1359-1378.
2

Sanjay K. Nawalkha
6. Nawalkha, Sanjay K., 1995, “Face Value Convergence for Stochastic Bond Price
Processes: A Note on Merton's Partial Equilibrium Option Pricing Model,” Journal of
Banking and Finance, Vol. 19, No. 2, 153-164.
7. Nawalkha, Sanjay K. and Nelson J. Lacey, 1990, “Generalized Solutions of Higher
Order Duration Measures,” Journal of Banking and Finance, Vol. 14, No. 6, 1143-1150.
Banking Today
8. Nawalkha, Sanjay and Saira Latif, 2004, “Measuring True Risk Exposure,” Banking
Today, (July/August), 23-27.
Nawalkha, Sanjay and Saira Latif, 2004, “Measuring True Risk Exposure,” Banking
Today, (July/August), 28-30 (Chinese Translation).
Derivatives
Journal of Derivatives
9. Beliaeva, Natalia A. and Sanjay K. Nawalkha, 2010, “A Simple Approach to Pricing
American Options under the Heston Stochastic Volatility Model, The Journal of
Derivatives, (Summer).
10. Beliaeva, Natalia A., Sanjay K. Nawalkha, and Gloria M. Soto, 2008, "Pricing
American Interest Rate Options Under the Jump-Extended Vasicek Model," The
Journal of Derivatives, (Fall), 29-43.
11. Morse, Joel, Robert Nash, Jack C. Francis, and Sanjay K. Nawalkha, 1996, “Equity
Swaps: Motivations and Applications,” Derivatives Risk Management Service, (May),
3C1-16.
Investments
Journal of Investment Management
12. Nawalkha, Sanjay K., and Riccardo Rebonato, 2011, “What Interest Rate Models to
Use? Buy Side versus Sell Side. Journal of Investment Management, third quarter.
13. Nawalkha, Sanjay K., Natalia A. Beliaeva, and Gloria M. Soto, 2010, “A New Taxonomy
of Dynamic Term Structure Models,” Journal of Investment Management, third quarter.
14. Nawalkha, Sanjay K., 2010, “The LIBOR/SABR Market Model: A Critical Review,”
Journal of Investment Management, second quarter, 101-22.
15. Nawalkha, Sanjay K. and Gloria M. Soto, 2009, “Managing Interest Rate Risk: The
Next Challenge,” Journal of Investment Management, third quarter, 82-96.
16. Nawalkha, Sanjay and Christopher Schwarz, 2004, “The Progeny of CAPM,” Journal
of Investment Management, third quarter.
Financial Analysts Journal
3

Sanjay K. Nawalkha
17. Crack, Timothy and Sanjay K. Nawalkha, 2000, “Interest Rate Sensitivities of Bond
Risk Measures,” Financial Analysts Journal, Vol. 56, (January-February), 34-43.
18. Nawalkha, Sanjay K. and Donlad R. Chambers, 1996, “An Improved Immunization
Strategy: M-Absolute,” Financial Analysts Journal, (September-October), 69-76.
19. Nawalkha, Sanjay K. and Nelson J. Lacey, 1991, “Convexity For Bonds With Special
Cash Flow Stream Bonds,” Financial Analysts Journal, (January-February), 80-82.
20. Nawalkha, Sanjay K., Nelson J. Lacey, and Tom Schneeweis, 1990, “Closed Form
Solutions of Convexity and M-Square,” Financial Analysts Journal,
(January-February), 75-77.
21. Nawalkha, Sanjay K. and Nelson J. Lacey, 1988, “Closed Form Solutions of the Higher
Order Duration Measures,” Financial Analysts Journal, (November-December), 82-84.
Other Investment Journals
22. Nawalkha, Sanjay and Natalia Beliaeva, 2007, “Efficient Trees for CIR and CEV
Short Rate Models,” Journal of Alternative Investments, (Summer), 71-90.
23. Nawalkha, Sanjay K., Jun Zhang, and Donald R. Chambers, 1999, “Pricing and
Duration of Floaters and Interest Rate Swaps with Embedded Options,” Journal of
Alternative Investments, (Spring), 58-70.
24. Lacey, Nelson J. and Sanjay K. Nawalkha, 1993, “Convexity, Risk, and Returns,” The
Journal of Fixed Income, (December), 72-79.
An abstract of this paper prepared by Robert A. McLean appeared in the CFA Digest,
1994, (Spring), 36-38.
25. Nawalkha, Sanjay K. and Donald R. Chambers, 1997, “The M-Vector Model:
Derivation and Testing of Extensions to M-Square,” Journal of Portfolio Management,
(Winter), 92-98.
International Finance
26. Nawalkha, Sanjay K. and Donald R. Chambers, 1995, “A Note on Currency Option
Pricing,” International Review of Financial Analysis, Vol. 4, No. 1, 81-84.
27. Nawalkha, Sanjay K. and Nelson J. Lacey, 1992, “Immunizing Bond Portfolios in
Multiple Term Structure Economy,” The International Review of Economics and
Finance, Vol. 1, No. 3, 235-246.
Other Journals
28. Nawalkha, Sanjay K. and Donlad R. Chambers, 1995, “The Binomial Model and Risk
Neutrality: Some Important Details,” Financial Review, Vol. 30, No. 3, 605-615.
29. Chambers, Donald, M., and Sanjay K. Nawalkha, 2001, “An Improved Approach to
Computing Implied Volatility,” The Financial Review, Vol. 36, No. 3, 89-100.
30. Crack, Timothy and Sanjay K. Nawalkha, 2001, “Common Misunderstandings
Concerning Duration and Convexity,” Journal of Applied Finance, Vol. 11, 82-92.
31. Nawalkha, Sanjay K., Jun Zhang, Nelson J. Lacey, and Joel N. Morse, 2000,
“Duration and Convexity of Inverse Floating Rate Bonds,” Journal of Research in
Finance.
4

Sanjay K. Nawalkha
Chapters in Books
32. Nawalkha, Sanjay K., “Duration Sixty Years Later,” 1999, in Nawalkha, S.K. and
D.R. Chambers (Editors), “Interest Rate Risk Measurement and Management,”
Institutional Investor, New York, 1999.
WORKING PAPERS AND RESEARCH IN PROGRESS
Derivatives
1. Beliaeva, Natalia A. Sanjay K. Nawalkha, and Michael Sullivan, 2012, “Pricing
American Options under Low-Dimensional Stochastic Volatility Models,” Working
Paper, University of Massachusetts, Amherst.
2. Beliaeva, Natalia A., Timothy Crack, and Sanjay K. Nawalkha, 2011, “Pricing
American Index Options under Stochastic Volatility Jump Models: An Empirical
Investigation,” research in progress, Suffolk University, Boston.
Financial Crisis
3. Nawalkha, Sanjay K. and Feng Tu, “Diversification and Bank Liquidity,” Work in
Progress.
4. Nawalkha, Sanjay K., and Feng Tu, “Bank Profitability and Bank Liquidity,” Work in
Progress.
OTHER PUBLICATIONS
1. Nawalkha, Sanjay, A Review essay on the book, “Pricing Corporate Securities as
Contingent Claims,” by Kenneth Garbade, published in Journal of Economic
Literature, Vol. 41, December 2003, p. 1297.
2. Nawalkha, Sanjay K., 2008, “Making Sense of the Credit Crisis,” UMassAmherst
Alumni Association News.
3. Nawalkha, Sanjay K., 2007, “Navigating the Risky Waters of Fixed Income
Investments,” The Common Wealth Magazine, Summer Issue.
PAPER PRESENTATIONS
1. FMA International Meeting, Atlanta, October 2012.
2. FMA International Meeting, New York, October 2010.
2. European Financial Management Association, Denmark, June 2010.
3. Banco De Espana (Central Bank of Spain,), June 2010.
4. University of Castilla La Mancha, Spain, June 2010.
5. FMA International Meeting, Reno, Nevada, 2009.
6. Jaipur Engineering College and Research Center, Jaipur, India, 2009, Distinguished
Lecture.
7. TIECON, Boston, 2009.
8. University of Venice, Venice, Italy, 2008.
9. Global Association of Risk Managers Seminar, New York, 2007.
5

Sanjay K. Nawalkha
10. FMA International Meeting, 2006.
11. FMA International Meeting, 2003.
12. FMA International Meeting, Seattle, 2000.
13. FMA International Meeting, Orlando, 1999.
14. CISDM Annual Conference, Amherst, 1998.
15. American Finance Association Meeting, Chicago, 1998.
16. University of Missouri, Columbia, 1996.
17. University of Cincinnati, Cincinnati, 1996.
18. FMA International Meeting, New York, 1995.
19. FMA Meeting, San Francisco, 1992.
20. Eastern Finance Association Meeting, Philadelphia,1990.
21. Bentley College, Boston, 1990.
22. FMA Meeting, Boston, 1989.
23. Bank of Tokyo, Tokyo, 1988.
PROFESSIONAL SERVICE
Professional Referee
Journal of Financial and Quantitative Analysis
Journal of Banking and Finance
Financial Analysts Journal
Journal of Risk
Journal of Investment Management
European Financial Management
Journal of Alternative Investments
Quantitative Finance
Journal of Economics and Business
Review of Quantitative Finance and Accounting
Applied Financial Economics
International Review of Economics and Finance
Financial Review
Journal of Hospitality Financial Management
Associate Editor, Journal of Investment Management, 2008-present.
6